DETREND - Remove Deterministic Trend From Time Series

Remove deterministic trend (e.g. linear, polynomial, etc.) from the input time series.

 

Syntax

DETREND(X, Order, Method)

X is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)).

Order is the time order in the data series (i.e. the first data point's corresponding date (earliest date=1 (default), latest date=0)).

Order Description
1 ascending (the first data point corresponds to the earliest date) (default)
0 descending (the first data point corresponds to the latest date)

Method is the order of the polynomial time trend.

Order Description
0 subtracts mean (default)
1 constant plus trend model
2 constant plus trend and squared trend model
 

Remarks

  1. The time series is homogeneous or equally spaced.
  2. The time series may include missing values (e.g. #N/A) at either end.

Files Examples

References

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